R help - Jul 2008 - Method for checking automatically which distribtions fits a data

Hi,

Suppose I have a vector of data.
Is there a method in R to help us automatically
suggest which distributions fits to that data
(e.g. normal, gamma, multinomial etc) ?

- Gundala Viswanath
Jakarta - Indonesia

Hi,
In my experience, I just plot the data set then figure it out.
Maybe you could try this?
I really wonder that there is such a R function exists.

If yes, please let me know.
Thanks
Chunhao Tu

Quoting Gundala Viswanath <gundalav at gmail.com>:
> Hi,
>
> Suppose I have a vector of data.
> Is there a method in R to help us automatically
> suggest which distributions fits to that data
> (e.g. normal, gamma, multinomial etc) ?
>
> - Gundala Viswanath
> Jakarta - Indonesia
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

I don't know that there is a single function, but you can perhaps apply a
sequence of available functions -

For instance, you can use fitdistr() in library(MASS) to estimate optimal
parameters for a candidate set of distributions; then look at each fit and also
compare the deviance among the fits (possibly penalizing distributions which
require more parameters - for instance, using the Akaike Information
Criterion(?)).


----- Original Message ----
From: Gundala Viswanath <gundalav at gmail.com>
To: r-help at stat.math.ethz.ch
Sent: Sunday, July 6, 2008 4:50:20 PM
Subject: [R] Method for checking automatically which distribtions fits a data

Hi,

Suppose I have a vector of data.
Is there a method in R to help us automatically
suggest which distributions fits to that data
(e.g. normal, gamma, multinomial etc) ?

- Gundala Viswanath
Jakarta - Indonesia

______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

The function ks.test(x,y, ...) performs a Kolmogorov-Smirnov test on a set
of sample values x against a distribution y. Both x and y must be
cumulative distributions; y can be either a vector of cumulative values or
a predefined distribution such as pnorm().

David Reinke

Senior Transportation Engineer/Economist
Dowling Associates, Inc.
180 Grand Avenue, Suite 250
Oakland, California 94612-3774
510.839.1742 x104 (voice)
510.839.0871 (fax)
www.dowlinginc.com

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
Behalf Of hadley wickham
Sent: Monday, July 07, 2008 8:10 AM
To: Ben Bolker
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Method for checking automatically which distribtions fits
a data
>> Suppose I have a vector of data.
>> Is there a method in R to help us automatically
>> suggest which distributions fits to that data
>> (e.g. normal, gamma, multinomial etc) ?
>>
>> - Gundala Viswanath
>> Jakarta - Indonesia
>>
>
> See
>
> https://stat.ethz.ch/pipermail/r-help/2008-June/166259.html
>
>  for example, normal vs gamma might be a sensible question
> (for which you can use fitdistr() as suggested above), but
> "multinomial" implies a very specific kind of response --
> discrete data with a specified number of possible outcomes.
Yes - the question as it is poorly stated.   If you have a small
(finite) choice of possible distributions you can use some kind of
likelihood based statistic to determine which fits the data best.  But
what is the population of distributions in this case?   All
distributions that you see in stats101?  All distributions that have
names?   All continuous distributions?

Hadley


-- 
http://had.co.nz/

______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

David Reinke wrote:
> The function ks.test(x,y, ...) performs a Kolmogorov-Smirnov test on a set
> of sample values x against a distribution y. Both x and y must be
> cumulative distributions; y can be either a vector of cumulative values or
> a predefined distribution such as pnorm().
> 
> David Reinke
If you find which distribution best fits the empirical distribution, the 
resulting estimates will have variances (once model uncertainty is taken 
into account through bootstrapping) that are equal to those from the 
empirical CDF so nothing is gained.   You can use the empirical CDF as 
the "final answer" unless prior knowledge on the distributional shape
is
available.

Frank Harrell
> 
> Senior Transportation Engineer/Economist
> Dowling Associates, Inc.
> 180 Grand Avenue, Suite 250
> Oakland, California 94612-3774
> 510.839.1742 x104 (voice)
> 510.839.0871 (fax)
> www.dowlinginc.com
> 
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at
r-project.org] On
> Behalf Of hadley wickham
> Sent: Monday, July 07, 2008 8:10 AM
> To: Ben Bolker
> Cc: r-help at stat.math.ethz.ch
> Subject: Re: [R] Method for checking automatically which distribtions fits
> a data
> 
>>> Suppose I have a vector of data.
>>> Is there a method in R to help us automatically
>>> suggest which distributions fits to that data
>>> (e.g. normal, gamma, multinomial etc) ?
>>>
>>> - Gundala Viswanath
>>> Jakarta - Indonesia
>>>
>> See
>>
>> https://stat.ethz.ch/pipermail/r-help/2008-June/166259.html
>>
>>  for example, normal vs gamma might be a sensible question
>> (for which you can use fitdistr() as suggested above), but
>> "multinomial" implies a very specific kind of response --
>> discrete data with a specified number of possible outcomes.
> 
> Yes - the question as it is poorly stated.   If you have a small
> (finite) choice of possible distributions you can use some kind of
> likelihood based statistic to determine which fits the data best.  But
> what is the population of distributions in this case?   All
> distributions that you see in stats101?  All distributions that have
> names?   All continuous distributions?
> 
> Hadley
> 
> 

-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University